Härdle, Wolfgang Kleinow, Torsten Korostelev, Alexander P. Logeay, Camille Platen, Eckhard
Year of Publication:
SFB 373 Discussion Paper No. 2001,24
The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on semiparametric and nonparametric estimates. The testing is performed via the wild bootstrap resampling technique. The method is illustrated on S&P 500 index data.